Resumo

CARDENAS-CARDONA, Carlos-Mauro  e  GALVIS-CIRO, Juan-Camilo. Fiscal Communication and its Effects on the Public Debt Securities: An Empirical Approach for the Colombian Case. Ens. Econ. [online]. 2020, vol.30, n.56, pp.105-135. ISSN 0121-117X.  https://doi.org/10.15446/ede.v30n56.83706.

This paper presents an analysis to quantify the communication on fiscal policy in Colombia based on information available in the news about the government deficit issued by the main newspapers in the country. We used as a methodological strategy the revision of fiscal news published in the main Colombian newspapers to construct a glossary of words with which to build a fiscal stance index. Then, using an econometric analysis, the generalized moments method -GMM- is used and the effects of the index on the returns of public debt securities for the period 2010-2018 are estimated. In order to have more robust evidence, an autoregressive vector model -VAR- is also estimated. The results indicate that the greater the fiscal deficit indicated in the fiscal news, the greater the return required in public debt, although the effects are only important in short-term securities. In addition, international risk and the price of oil are also important variables that affect debt returns.

JEL: E60; E61; E62; E63.

Palavras-chave : communication; fiscal policy; public debt; fiscal deficit; titles of public debt.

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